Cointegration PDF Download
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Author | : Bernhard Pfaff |
Publisher | : Springer Science & Business Media |
Total Pages | : 193 |
Release | : 2008-09-03 |
Genre | : Business & Economics |
ISBN | : 0387759670 |
Download Analysis of Integrated and Cointegrated Time Series with R Book in PDF, ePub and Kindle
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author | : Peter Reinhard Hansen |
Publisher | : Oxford University Press, USA |
Total Pages | : 178 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780198776086 |
Download Workbook on Cointegration Book in PDF, ePub and Kindle
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author | : G. S. Maddala |
Publisher | : Cambridge University Press |
Total Pages | : 528 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780521587822 |
Download Unit Roots, Cointegration, and Structural Change Book in PDF, ePub and Kindle
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author | : Søren Johansen |
Publisher | : Oxford University Press on Demand |
Total Pages | : 280 |
Release | : 1995 |
Genre | : Business & Economics |
ISBN | : 0198774508 |
Download Likelihood-based Inference in Cointegrated Vector Autoregressive Models Book in PDF, ePub and Kindle
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author | : Halbert White |
Publisher | : Oxford University Press, USA |
Total Pages | : 512 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : 9780198296836 |
Download Cointegration, Causality, and Forecasting Book in PDF, ePub and Kindle
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author | : Clive William John Granger |
Publisher | : |
Total Pages | : 301 |
Release | : 1991 |
Genre | : Analisis de series de tiempo |
ISBN | : |
Download Long-run economic relationships Book in PDF, ePub and Kindle
Author | : Bhaskara B. Rao |
Publisher | : Springer |
Total Pages | : 247 |
Release | : 2016-07-27 |
Genre | : Business & Economics |
ISBN | : 1349235296 |
Download Cointegration Book in PDF, ePub and Kindle
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Author | : Katarina Juselius |
Publisher | : OUP Oxford |
Total Pages | : 478 |
Release | : 2006-12-07 |
Genre | : Business & Economics |
ISBN | : 0191622966 |
Download The Cointegrated VAR Model Book in PDF, ePub and Kindle
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author | : Mr.Peter F. Christoffersen |
Publisher | : International Monetary Fund |
Total Pages | : 31 |
Release | : 1997-05-01 |
Genre | : Business & Economics |
ISBN | : 1451848137 |
Download Cointegration and Long-Horizon Forecasting Book in PDF, ePub and Kindle
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.
Author | : Mr.Ray Yeu-Tien Chou |
Publisher | : International Monetary Fund |
Total Pages | : 16 |
Release | : 1994-08-01 |
Genre | : Business & Economics |
ISBN | : 1451950705 |
Download Cointegration of International Stock Market Indices Book in PDF, ePub and Kindle
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are cointegrated. The results suggest that there are long-run equilibrium relationships among the stock market prices. Subsample and subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with greater stock market integration amid the increasing liberalization and globalization of capital markets.